相关论文: Bayesian Temporal Factorization for Multidimension…

In this paper, we set up the theoretical foundations for a high-dimensional functional factor model approach in the analysis of large cross-sections (panels) of functional time series (FTS). We first establish a representation result…

Recent advancements in deep learning have led to the development of various models for long-term multivariate time-series forecasting (LMTF), many of which have shown promising results. Generally, the focus has been on…

Time series forecasting is critical for decision-making across dynamic domains such as energy, finance, transportation, and cloud computing. However, real-world time series often exhibit non-stationarity, including temporal distribution…

In Internet of things (IoT), data is continuously recorded from different data sources and devices can suffer faults in their embedded electronics, thus leading to a high-dimensional data sets and concept drift events. Therefore, methods…

We develop an efficient sampling approach for handling complex missing data patterns and a large number of missing observations in conditionally Gaussian state space models. Two important examples are dynamic factor models with unbalanced…

Real-world clinical time series data sets exhibit a high prevalence of missing values. Hence, there is an increasing interest in missing data imputation. Traditional statistical approaches impose constraints on the data-generating process…

Factor models are widely used across diverse areas of application for purposes that include dimensionality reduction, covariance estimation, and feature engineering. Traditional factor models can be seen as an instance of linear embedding…

We introduce a Bayesian approach for multivariate spatio-temporal prediction for high-dimensional count-valued data. Our primary interest is when there are possibly millions of data points referenced over different variables, geographic…

Integrating deep learning with latent state space models has the potential to yield temporal models that are powerful, yet tractable and interpretable. Unfortunately, current models are not designed to handle missing data or multiple data…

This article introduces a nonparametric approach to spectral analysis of a high-dimensional multivariate nonstationary time series. The procedure is based on a novel frequency-domain factor model that provides a flexible yet parsimonious…

In many applications, it is of interest to study trends over time in relationships among categorical variables, such as age group, ethnicity, religious affiliation, political party and preference for particular policies. At each time point,…

Many real-world ubiquitous applications, such as parking recommendations and air pollution monitoring, benefit significantly from accurate long-term spatio-temporal forecasting (LSTF). LSTF makes use of long-term dependency between spatial…

We present a theory-guided generalized Bayesian methodology for spatio-temporal raster data, which we use to train an ensemble of stochastic feed-forward neural networks with Gaussian-distributed weights. The methodology incorporates the…

Multivariate time series (MTS) forecasting is widely used in various domains, such as meteorology and traffic. Due to limitations on data collection, transmission, and storage, real-world MTS data usually contains missing values, making it…

Spatio-temporal forecasting has numerous applications in analyzing wireless, traffic, and financial networks. Many classical statistical models often fall short in handling the complexity and high non-linearity present in time-series data.…

Multivariate time series (MTS) prediction is ubiquitous in real-world fields, but MTS data often contains missing values. In recent years, there has been an increasing interest in using end-to-end models to handle MTS with missing values.…

Probabilistic approaches for tensor factorization aim to extract meaningful structure from incomplete data by postulating low rank constraints. Recently, variational Bayesian (VB) inference techniques have successfully been applied to large…

We present a Bayesian approach for modeling multivariate, dependent functional data. To account for the three dominant structural features in the data--functional, time dependent, and multivariate components--we extend hierarchical dynamic…

Bike-sharing systems (BSSs) have become increasingly popular around the globe and have attracted a wide range of research interests. In this paper, the demand forecasting problem in BSSs is studied. Spatial and temporal features are…

We propose a novel framework for analyzing multivariate time series (MTS) data by integrating non-negative matrix factorization (NMF) with vector autoregression (VAR). Termed NMF-VAR, this method models the coefficient matrix of NMF as a…